Zephyr K-Ratio

Hedge Fund Performance Template

2013-01-04 08:42:25
Marc Odo
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We’ve recently created a nice little five-pager that is meant to be used with hedge funds and other absolute-return strategies. The template was created with our new report view feature and utilizes many of the new statistics and graphics available in StyleADVISOR.

Understanding the Zephyr K-Ratio by Marc Odo CFA, CAIA, CFP

Date: 
Thu, 2012-02-02

In 1996, Lars Kestner drafted the Kestner Ratio, or K-Ratio, as a way to quantify the profit and loss trade-off in his technical trading strategies. Zephyr Associates saw the K-Ratio’s potential for analyzing investment products and, with a few tweaks, incorporated the metric in StyleADVISOR. In a previous paper Dr. Thomas Becker, Zephyr’s head mathematician, explained the history and evolution of the metric, the mathematical foundations of the Zephyr K-Ratio, and gave some illustrations using theoretical data.

 
 

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